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Transmission of macro shocks to loan losses in a deep crisis: the case of Finland
Jokivuolle, Esa; Viren, Matti; Vähämaa, Oskari - Suomen Pankki - 2009
Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five’ crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...
Persistent link: https://www.econbiz.de/10008509434
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Early intervention and prompt corrective action in Europe
Mayes, David G - Suomen Pankki - 2009
The present crisis has revealed that, as expected, much of the safety net for handling failures in the banking system is deficient, particularly for cross-border banks, and the present problems had to be handled by a range of ad hoc measures. The principal new measure that needs to be undertaken...
Persistent link: https://www.econbiz.de/10004976733
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Determinants of the loan loss allowance: some cross-country comparisons
Hasan, Iftekhar; Wall, Larry D. - Suomen Pankki - 2003
This paper analyses the determinants of banks’ loan loss allowances for samples of US banks and three non-US samples: a group of 21 countries, Canada and Japan. The model includes fundamental (or non-discretionary) determinants of the allowance such as non-performing loans, and discretionary...
Persistent link: https://www.econbiz.de/10005648830
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Shadow banking : financial intermediation beyond banks
Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018
Persistent link: https://www.econbiz.de/10011790739
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Diagnostics for the financial markets – computational studies of payment system: Simulator Seminar Proceedings 2009–2011
Hellqvist, Matti; Laine, Tatu - Suomen Pankki - 2012
This publication consists of fifteen studies on payment and settlement systems conducted using computational or simulation techniques. The studies have been presented at the simulator seminars arranged by the Bank of Finland during the years 2009–2011. The main focus of the studies is on the...
Persistent link: https://www.econbiz.de/10010584387
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The 1990’s financial crises in Nordic countries
Honkapohja, Seppo - Suomen Pankki - 2009
The current financial crisis, which has lasted almost one and a half years, is the 19th such crisis in the post-war period in advanced economies. Recent literature classifies the Nordic crises in Norway, Sweden and Finland in late 1980's and early 1990’s among the Big Five crises that have...
Persistent link: https://www.econbiz.de/10005207165
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Which financial stocks did short sellers target in the subprime crisis?
Hasan, Iftekhar; Massoud, Nadia; Saunders, Anthony; … - Suomen Pankki - 2015
Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime crisis. The evidence suggests that short sellers sold short stocks that...
Persistent link: https://www.econbiz.de/10011188494
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Macro-model-based stress testing of Basel II capital requirements
Jokivuolle, Esa; Virolainen, Kimmo; Vähämaa, Oskari - Suomen Pankki - 2008
requirements in which banks’ corporate credit risks are modeled with macroeconomic variables. We can thus define scenarios such as … a mild recession and consider the resulting credit risk developments and consequent changes in minimum capital … requirements. We also emphasize the importance of stress testing future minimum capital requirements jointly with credit losses …
Persistent link: https://www.econbiz.de/10005190782
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Macro stress testing with a macroeconomic credit risk model for Finland
Virolainen, Kimmo - Suomen Pankki - 2004
1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector. The sample period includes a … indebtedness. The estimated model is employed to analyse corporate credit risks conditional on current macroeconomic conditions … adverse macroeconomic events on the banks’ credit risks stemming from the corporate sector. The results of the stress tests …
Persistent link: https://www.econbiz.de/10005648883
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The feasibility of through-the-cycle ratings
Kauko, Karlo - Suomen Pankki - 2010
) ratings in IRBA models. A TTC rating would be based on the structural component of the debtor’s credit risk ignoring cyclical … fluctuations. This paper tests for the existence of such fluctuations in corporate sector credit risk and finds vietually no …
Persistent link: https://www.econbiz.de/10008483930